Download commercial / multifamily mortgage debt outstanding | q1 2016

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COMMERCIAL / MULTIFAMILY
MORTGAGE DEBT OUTSTANDING | Q1 2016
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reproduced, stored in a retrieval system, transmitted or redistributed in any form or by any means,
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of such damages.
COMMERCIAL / MULTIFAMILY
REAL ESTATE MORTGAGE
DEBT OUTSTANDING
Q1 2016
4. Commercial/Multifamily Mortgage Debt Outstanding
First Quarter 2016
The level of commercial/multifamily mortgage debt outstanding
increased by $35.3 billion in the first quarter of 2016, as three of
the four major investor groups increased their holdings. That is a
1.2 percent increase over the fourth quarter of 2015.
Commercial Multifamily Mortgage Debt Outstanding
By Investor Group, First Quarter 2016
Total commercial/multifamily debt outstanding rose to $2.86
trillion at the end of the first quarter. Multifamily mortgage debt
outstanding rose to $1.07 trillion, an increase of $18.2 billion, or 1.7
percent, from the fourth quarter of 2015.
“The amount of commercial and multifamily mortgage debt
outstanding continues to grow at a strong clip,” said Jamie
Woodwell, MBA’s Vice President of Commercial Real Estate
Research. “Bank holdings and multifamily loans backed by Fannie
Mae and Freddie Mac drove growth during the quarter. However,
the balance of loans held in commercial mortgage-backed
securities continues to decline and has now fallen by one third
since it peaked in 2007, as more CMBS loans are paid-off and paid
down than are originated.”
The four major investor groups are: bank and thrift; commercial
mortgage backed securities (CMBS), collateralized debt obligation
(CDO) and other asset backed securities (ABS) issues; federal
agency and government sponsored enterprise (GSE) portfolios
and mortgage backed securities (MBS);
and life insurance
companies.
The analysis summarizes the holdings of loans or, if the loans are
securitized, the form of the security. For example, many life
insurance companies invest both in whole loans for which they
hold the mortgage note (and which appear in this data under Life
Insurance Companies) and in CMBS, CDOs and other ABS for
which the security issuers and trustees hold the note (and which
appear here under CMBS, CDO and other ABS issues).
Commercial banks continue to hold the largest share of
commercial/multifamily mortgages, $1.1 trillion, or 39 percent of
the total.
CMBS, CDO and other ABS issues are the second largest holders
of commercial/multifamily mortgages, holding $504 billion, or 18
percent of the total. Agency and GSE portfolios and MBS hold
$472 billion, or 17 percent of the total, and life insurance companies
hold $398 billion, or 14 percent of the total. Many life insurance
companies, banks and the GSEs purchase and hold CMBS, CDO
and other ABS issues. These loans appear in the “CMBS, CDO and
other ABS” category.
MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Looking solely at multifamily mortgages, agency and GSE
portfolios and MBS hold the largest share, with $472 billion, or 44
percent of the total multifamily debt outstanding. They are
followed by banks and thrifts with $352 billion, or 33 percent of the
total. State and local government hold $94 billion, or 9 percent of
the total; life insurance companies hold $62 billion, or 6 percent of
the total; CMBS, CDO and other ABS issues hold $57 billion, or 5
percent of the total, and nonfarm noncorporate business holds $13
billion, or one percent of the total.
CHANGES IN COMMERCIAL/MULTIFAMILY MORTGAGE DEBT
OUTSTANDING
In the first quarter of 2016, banks and thrifts saw the largest
increase in dollar terms in their holdings of commercial/multifamily
mortgage debt – an increase of $26.4 billion, or 2.5 percent.
Agency and GSE portfolios and MBS increased their holdings by
$11.3 billion, or 2.5 percent, and life insurance companies increased
their holdings by $5.0 billion, or 1.3 percent. CMBS, CDO and other
ABS issues saw the largest decrease at $11.7 billion, or down 2.3
percent.
In percentage terms, other insurance companies saw the largest
increase in their holdings of commercial/multifamily mortgages, an
increase of 8 percent. CMBS, CDO and other ABS issues saw their
holdings decrease 2.3 percent.
CHANGES IN MULTIFAMILY MORTGAGE DEBT OUTSTANDING
The $18.2 billion increase in multifamily mortgage debt outstanding
between the fourth quarter of 2015 and first quarter of 2016
represents a 1.7 percent increase. In dollar terms, agency and GSE
portfolios and MBS saw the largest increase in their holdings of
multifamily mortgage debt, an increase of $11.3 billion, or 2.5
percent. Commercial banks increased their holdings of multifamily
mortgage debt by $8.0 billion, or 2.3 percent. State and local
government increased by $2.7 billion, or 2.9 percent. CMBS, CDO
and other ABS issues saw the largest decline in their holdings of
multifamily mortgage debt, by $5.7 billion, or down 9.2 percent.
In percentage terms, REITs recorded the largest increase in
holdings of multifamily mortgages, at 6 percent. CMBS, CDO and
other ABS issues saw the biggest decrease at 9 percent.
MBA’s complete Commercial/Multifamily Mortgage Debt
Outstanding report can be downloaded here. MBA’s analysis is
based on data from the Federal Reserve Board’s Financial
Accounts of the United States, the Federal Deposit Insurance
Corporation’s Quarterly Banking Profile and data from Wells Fargo
Securities. More information on this data series is contained in
Appendix A.
COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Commercial and Multifamily Mortgage Debt Outstanding, by Quarter
($millions)
3,500,000
3,000,000
2,500,000
2,000,000
1,500,000
1,000,000
500,000
2007Q1
2007Q2
2007Q3
2007Q
2008Q1
2008Q2
2008Q3
2008Q
2009Q1
2009Q2
2009Q3
2009Q
2010Q1
2010Q2
2010Q3
2010Q4
2011Q1
2011Q2
2011Q3
2011Q4
2012Q1
2012Q2
2012Q3
2012Q4
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
2015Q1
2015Q2
2015Q3
2015Q4
2016Q1
0
MF
Commercial
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
QUARTERLY COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Commercial and Multifamily Mortgage Debt Outstanding, by Sector
Mortgage Debt Outstanding
2016 Q1
2015 Q4
% of
% of
($millions)
($millions)
total
total
Change
($millions)
Percent
Sector Share
of $ Change
Bank and Thrift
1,103,625
38.6%
1,077,171
38.1%
26,454
2.5%
75.0%
CMBS, CDO and other ABS issues
503,690
17.6%
515,346
18.2%
-11,656
-2.3%
-33.0%
Agency and GSE portfolios and MBS
472,477
16.5%
461,171
16.3%
11,306
2.5%
32.1%
Life insurance companies
398,228
13.9%
393,246
13.9%
4,982
1.3%
14.1%
State and local government
113,351
4.0%
110,146
3.9%
3,205
2.9%
9.1%
Federal government
82,449
2.9%
82,196
2.9%
253
0.3%
0.7%
REITs
60,295
2.1%
61,037
2.2%
-742
-1.2%
-2.1%
Finance companies
29,078
1.0%
29,760
1.1%
-682
-2.3%
-1.9%
Nonfarm noncorporate business
24,371
0.9%
24,030
0.9%
341
1.4%
1.0%
Household sector
21,890
0.8%
21,200
0.8%
690
3.3%
2.0%
Private pension funds
19,784
0.7%
19,830
0.7%
-46
-0.2%
-0.1%
Other insurance companies
13,350
0.5%
12,340
0.4%
1,010
8.2%
2.9%
Nonfinancial corporate business
12,246
0.4%
12,091
0.4%
155
1.3%
0.4%
State and local government retirement funds
4,702
0.2%
4,702
0.2%
0
0.0%
0.0%
35,270
1.2%
TOTAL
2,859,536
2,824,266
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
Note: Beginning with the Q2 2014 release, MBA’s analysis of mortgage debt outstanding modifies the data from the Federal Reserve’s Financial Accounts of the
United States with respect to loans held in commercial mortgage-backed securities (CMBS) and by real estate investment trusts (REITs). The corrections create
differences with previous releases and with the Federal Reserve data. For more information, please see the Appendix to this report.
COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Commercial and Multifamily Mortgage Debt Outstanding, by Sector
($millions)
1,103,625
Bank and Thrift
503,690
CMBS, CDO and other ABS issues
472,477
Agency and GSE portfolios and MBS
398,228
Life insurance companies
113,351
State and local government
82,449
Federal government
60,295
REITs
29,078
Finance companies
Nonfarm noncorporate business
24,371
Household sector
21,890
Private pension funds
19,784
Other insurance companies
13,350
Nonfinancial corporate business
12,246
4,702
State and local government retirement funds
0
200,000
400,000
600,000
2015Q4
2016Q1
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
800,000
1,000,000
1,200,000
COMMERCIAL AND MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Commercial and Multifamily Mortgage Debt Outstanding, by Selected Sector
by Quarter
($millions)
1,200,000
1,000,000
800,000
600,000
400,000
200,000
Agency and GSE portfolios and MBS
Bank and Thrift
CMBS, CDO and other ABS issues
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
Life insurance companies
2016Q1
2015Q1
2014Q1
2013Q1
2012Q1
2011Q1
2010Q1
2009Q1
2008Q1
2007Q1
2006Q1
2005Q1
2004Q1
2003Q1
2002Q1
2001Q1
2000Q1
1999Q1
1998Q1
1997Q1
1996Q1
1995Q1
0
COMMERCIAL AND MULTIFAMILY MORTGAGE FLOWS
Net Change in Commercial and Multifamily Mortgage Debt Outstanding, by Quarter
($millions)
100,000
80,000
60,000
40,000
20,000
0
(20,000)
MF
Commercial
TOTAL
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
2016Q1
2015Q4
2015Q3
2015Q2
2015Q1
2014Q4
2014Q3
2014Q2
2014Q1
2013Q4
2013Q3
2013Q2
2013Q1
2012Q4
2012Q3
2012Q2
2012Q1
2011Q4
2011Q3
2011Q2
2011Q1
2010Q4
2010Q3
2010Q2
2010Q1
2009Q4
2009Q3
2009Q2
2009Q1
2008Q4
2008Q3
2008Q2
2008Q1
2007Q4
2007Q3
2007Q2
(40,000)
COMMERCIAL AND MULTIFAMILY MORTGAGE FLOWS
Net Change in Commercial and Multifamily Mortgage Debt Outstanding, by Sector
($millions)
26,454
Bank and Thrift
11,306
Agency and GSE portfolios and MBS
4,982
Life insurance companies
3,205
State and local government
1,010
Other insurance companies
690
Household sector
Nonfarm noncorporate business
341
Federal government
253
155
Nonfinancial corporate business
0
State and local government retirement funds
(46)
Private pension funds
(682)
(742)
Finance companies
REITs
CMBS, CDO and other ABS issues
(20,000)
(11,656)
(10,000)
0
10,000
2015Q4
20,000
2016Q1
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
30,000
40,000
50,000
MULTIFAMILY MORTGAGE DEBT OUTSTANDING
MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Multifamily Mortgage Debt Outstanding, by Quarter
($millions)
1,200,000
1,000,000
800,000
600,000
400,000
200,000
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
2016Q1
2015Q4
2015Q3
2015Q2
2015Q1
2014Q4
2014Q3
2014Q2
2014Q1
2013Q4
2013Q3
2013Q2
2013Q1
2012Q4
2012Q3
2012Q2
2012Q1
2011Q4
2011Q3
2011Q2
2011Q1
2010Q4
2010Q3
2010Q2
2010Q1
2009Q
2009Q3
2009Q2
2009Q1
2008Q
2008Q3
2008Q2
2008Q1
2007Q4
2007Q3
2007Q2
2007Q1
0
QUARTERLY MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Multifamily Mortgage Debt Outstanding, by Sector
Mortgage Debt Outstanding
2016 Q1
2015 Q4
% of
% of
($millions) total ($millions) total
Change
($millions)
Percent
Sector Share
of $ Change
Agency and GSE portfolios and MBS
472,477
44.1%
461,171
43.8%
11,306
2.5%
62.2%
Bank and Thrift
352,061
32.8%
344,060
32.7%
8,001
2.3%
44.0%
State and local government
94,459
8.8%
91,788
8.7%
2,671
2.9%
14.7%
Life insurance companies
62,464
5.8%
60,613
5.8%
1,851
3.1%
10.2%
CMBS, CDO and other ABS issues
56,545
5.3%
62,292
5.9%
-5,747
-9.2%
-31.6%
Nonfarm noncorporate business
13,456
1.3%
13,268
1.3%
188
1.4%
1.0%
Federal government
12,786
1.2%
12,847
1.2%
-61
-0.5%
-0.3%
State and local government retirement funds
2,126
0.2%
2,204
0.2%
-78
-3.5%
-0.4%
REITs
1,830
0.2%
1,723
0.2%
107
6.2%
0.6%
Private pension funds
1,817
0.2%
1,882
0.2%
-65
-3.5%
-0.4%
Finance companies
1,243
0.1%
1,243
0.1%
0
0.0%
0.0%
471
0.0%
465
0.0%
6
1.3%
0.0%
18,179
1.7%
Nonfinancial corporate business
TOTAL
1,071,735
1,053,556
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
Note: Beginning with the Q2 2014 release, MBA’s analysis of mortgage debt outstanding modifies the data from the Federal Reserve’s Financial Accounts of
the United States with respect to loans held in commercial mortgage-backed securities (CMBS) and by real estate investment trusts (REITs). The corrections
create differences with previous releases and with the Federal Reserve data. For more information, please see the Appendix to this report.
MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Multifamily Mortgage Debt Outstanding, by Sector
($millions)
472,477
Agency and GSE portfolios and MBS
352,061
Bank and Thrift
94,459
State and local government
62,464
Life insurance companies
56,545
CMBS, CDO and other ABS issues
Nonfarm noncorporate business
13,456
Federal government
12,786
State and local government retirement funds
2,126
REITs
1,830
Private pension funds
1,817
Finance companies
1,243
471
Nonfinancial corporate business
0
50,000
100,000
150,000 200,000 250,000 300,000 350,000 400,000 450,000 500,000
2015Q4
2016Q1
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
MULTIFAMILY MORTGAGE DEBT OUTSTANDING
Total Multifamily Mortgage Debt Outstanding, by Selected Sector by Quarter
($millions)
500,000
450,000
400,000
350,000
300,000
250,000
200,000
150,000
100,000
50,000
Agency and GSE portfolios and MBS
Bank and Thrift
Life insurance companies
State and local government
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
CMBS, CDO and other ABS issues
2016Q1
2014Q1
2012Q1
2010Q1
2008Q1
2006Q1
2004Q1
2002Q1
2000Q1
1998Q1
1996Q1
1994Q1
1992Q1
1990Q1
1988Q1
1986Q1
1984Q1
1982Q1
1980Q1
0
MULTIFAMILY MORTGAGE FLOWS
Net Change in Multifamily Mortgage Debt Outstanding, by Quarter
($millions)
45,000
40,000
35,000
30,000
25,000
20,000
15,000
10,000
5,000
0
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
2016Q1
2015Q4
2015Q3
2015Q2
2015Q1
2014Q4
2014Q3
2014Q2
2014Q1
2013Q4
2013Q3
2013Q2
2013Q1
2012Q4
2012Q3
2012Q2
2012Q1
2011Q4
2011Q3
2011Q2
2011Q1
2010Q4
2010Q3
2010Q2
2010Q1
2009Q4
2009Q3
2009Q2
2009Q1
2008Q4
2008Q3
2008Q2
2008Q1
2007Q4
2007Q3
2007Q2
(5,000)
MULTIFAMILY MORTGAGE FLOWS
Net Change in Multifamily Mortgage Debt Outstanding, by Sector
($millions)
11,306
Agency and GSE portfolios and MBS
8,001
Bank and Thrift
2,671
State and local government
1,851
Life insurance companies
Nonfarm noncorporate business
188
REITs
107
6
Nonfinancial corporate business
0
Finance companies
Federal government
-61
Private pension funds
-65
State and local government retirement funds
-78
CMBS, CDO and other ABS issues
(10,000)
-5,747
(5,000)
0
5,000
2015Q4
10,000
2016Q1
Source: MBA, Federal Reserve Board of Governors, Wells Fargo Securities, LLC, Intex Solutions, Inc. and FDIC
15,000
20,000
APPENDIX A
MBA’s analysis is based on data from the Federal Reserve Board’s
Financial Accounts of the United States, the Federal Deposit
Insurance Corporation’s Quarterly Banking Profile and data from
Wells Fargo Securities.
Bank Holdings
MBA’s analysis of commercial and multifamily mortgage debt
outstanding was changed in the fourth quarter of 2010 to exclude
two categories of loans that had previously been included;
a. loans for acquisition, development and construction and
b. loans collateralized by owner-occupied commercial
properties.
By excluding these loan types, MBA’s analysis more accurately
reflects the balance of loans supported by office buildings, retail
centers, apartment buildings and other income-producing
properties that rely on rents and leases to make their payments.
For the first quarter 2016, the Federal Reserve Board’s Flow of
Funds Accounts data attributed $1.9 trillion of outstanding
commercial and multifamily mortgages to banks and thrifts.
Comparing this number to the FDIC’s Quarterly Banking Profile for
the same period, one sees that banks and thrifts held $352billion
of multifamily mortgages and $1,251.6 billion of non-farm
nonresidential mortgages, of which 60 percent or $752 billion were
income-producing. The combined $1.10 trillion of mortgages
backed by multifamily and other income-producing properties is
included in this analysis. The $1.9 trillion total reported by the
Federal Reserve also includes $500 billion of loans collateralized
by owner-occupied commercial properties and another $279
billion of loans backed by acquisition, development and
construction projects (including those for single-family
development), which are excluded in from this analysis.
Estimated Components of Federal Reserve’s Flow of Funds
“Commercial and Multifamily Mortgages” Held by Banks and
Thrifts
($Billions)
Multifamily
mortgages,
$352.1
Incomeproducing
commercial
mortgages,
$751.6
Constructio
n loans,
$278.9
Owneroccupied
commercial
mortgages,
$500.0
Source: MBA, Federal Reserve Board of Governors, and FDIC
Mortgages in CMBS and held by REITs
Beginning with its Q2 2014 release, the Federal Reserve’s Financial
Accounts of the United States adjusted its balance of commercial
mortgages held in CMBS and by REITs to reflect the impact of FAS
167 and its implications for how entities report certain securitized
mortgages on their balance sheets. The effect of this change was
to inflate the balance of mortgages appearing under REITs by
approximately $130 billion and to reduce the balance appearing
under CMBS by the same amount.
From an accounting
perspective, such changes are required, but the changes lead to a
significant distortion of the size of the CMBS and REIT markets.
For CMBS, MBA corrects for this by relying on data from Wells
Fargo Securities to size the balance of commercial and multifamily
mortgages in CMBS. (The analysis continues to rely on the
Financial Accounts of the United States to size multifamily
balances held in CMBS, as the FAS 167 adjustments did not affect
them.)
For REIT balances, MBA uses Fed data to reverse the FAS 167
inclusions and thus to report the mortgages, and not securitized
assets, that REITs hold. The full corrected series are available as a
part of MBA’s CREF Database. Contact [email protected]
for more information.
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